Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.1073 |
| Annualized Std Dev | 0.2151 |
| Annualized Sharpe (Rf=0%) | 0.4989 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3874.0000 |
| NAs | 1.0000 |
| Minimum | -0.1244 |
| Quartile 1 | -0.0054 |
| Median | 0.0009 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0004 |
| Quartile 3 | 0.0070 |
| Maximum | 0.1040 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0002 |
| Stdev | 0.0135 |
| Skewness | -0.4429 |
| Kurtosis | 9.0995 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0099 |
| Gain Deviation | 0.0093 |
| Loss Deviation | 0.0109 |
| Downside Deviation (MAR=210%) | 0.0144 |
| Downside Deviation (Rf=0%) | 0.0097 |
| Downside Deviation (0%) | 0.0097 |
| Maximum Drawdown | 0.5780 |
| Historical VaR (95%) | -0.0210 |
| Historical ES (95%) | -0.0332 |
| Modified VaR (95%) | -0.0210 |
| Modified ES (95%) | -0.0413 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-10-10 | 2009-03-09 | 2013-05-14 | -0.5780 | 1408 | 355 | 1053 |
| 2020-02-13 | 2020-03-23 | NA | -0.4430 | 278 | 27 | NA |
| 2018-10-04 | 2018-12-24 | 2019-04-30 | -0.2496 | 142 | 56 | 86 |
| 2015-02-25 | 2016-02-11 | 2016-06-06 | -0.1644 | 323 | 244 | 79 |
| 2006-04-21 | 2006-06-13 | 2006-10-16 | -0.1164 | 124 | 37 | 87 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2005 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.2 | 1.2 | -0.8 | 0.6 |
| 2006 | 1.2 | 0.4 | -0.3 | 0.5 | 1.6 | -0.3 | -0.8 | 0.8 | -0.2 | -1.2 | -0.1 | -0.5 | 0.9 |
| 2007 | 0.7 | 0.1 | -0.2 | 0.7 | 0.1 | 0.1 | 1.5 | 0.5 | 1.2 | -2 | 0 | -0.2 | 2.5 |
| 2008 | 1.3 | -2.5 | 2.7 | 1.7 | 1.1 | 0.1 | -0.7 | -1.3 | -1.5 | 2.5 | -7.3 | 2.7 | -1.6 |
| 2009 | -0.8 | -2.7 | 0.9 | 1.8 | 4.1 | 0.7 | -0.1 | -0.8 | -2.7 | -2.2 | 1.4 | -1.2 | -1.9 |
| 2010 | 1.7 | 1.3 | 0.3 | -2.4 | -2.6 | -1.1 | -0.1 | 3.3 | 0 | -0.1 | 2.4 | 0.1 | 2.8 |
| 2011 | 1.4 | -1.7 | 0.5 | 0.4 | -2.5 | 1.6 | -1.3 | -2.2 | -1.4 | -3.6 | 0.2 | -0.6 | -8.9 |
| 2012 | 1.7 | 0.1 | 0.1 | 0.4 | -2.3 | 3.3 | -0.9 | 0.8 | 0.7 | 1.2 | -0.1 | 1.6 | 6.7 |
| 2013 | 0.8 | -0.3 | -1 | -0.9 | -0.5 | 0.8 | 1.7 | -1.2 | 1.1 | 0.5 | -0.5 | 0.5 | 1 |
| 2014 | 0.6 | 0.3 | 0.8 | -0.3 | 0.2 | 1.1 | 0.2 | 0.2 | -2.1 | 1.2 | -0.8 | -1.1 | 0.1 |
| 2015 | -1.4 | -0.4 | -0.9 | 1.1 | 0.1 | 0.7 | -0.2 | -2.7 | -0.1 | -0.1 | 0.4 | -1 | -4.4 |
| 2016 | -0.2 | 1 | 0.3 | -0.7 | 0.4 | -0.1 | 0.1 | 0.2 | 0.5 | -0.4 | 0.1 | -0.5 | 0.6 |
| 2017 | -0.2 | 1.5 | -0.4 | -0.2 | 0.4 | 0.6 | 0.4 | -0.2 | 0.3 | -0.2 | -1.4 | -0.4 | 0.2 |
| 2018 | 0.7 | -2.1 | 1.5 | -1.6 | 1 | 0.4 | -0.7 | 0.1 | 0.2 | 2.4 | 0.4 | 1.2 | 3.5 |
| 2019 | 0.2 | 0.2 | 1.9 | -0.1 | -0.9 | -0.5 | -1.1 | 0.4 | -2.2 | 1.2 | -0.5 | -0.3 | -1.7 |
| 2020 | -2.1 | -1.6 | -4.4 | -2.7 | 0.8 | -0.5 | -0.4 | 0.3 | 0.3 | 0 | 1 | 0.4 | -8.7 |
| 2021 | 1.2 | 2.9 | -0.6 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.6 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2005-10-26 15.0 SPY 119. -0.00290 -0.0034 -0.0179 -0.0417 0.0575 0.323 -0.143 GLD 46.9 -0.0028 0.0127
2 2005-10-27 14.6 SPY 118. -0.0106 0.0037 -0.0293 -0.0456 0.0431 0.318 -0.156 GLD 47.2 0.0053 0.0261
3 2005-10-28 14.7 SPY 120. 0.0144 0.0141 -0.0233 -0.0311 0.0583 0.353 -0.148 GLD 47.2 0.0008 0.015
4 2005-10-31 14.9 SPY 120. 0.0028 0.0014 -0.0237 -0.0342 0.0583 0.343 -0.139 GLD 46.4 -0.0174 0.0002
5 2005-11-01 14.9 SPY 120. 0.003 0.0064 -0.0172 -0.0339 0.0611 0.361 -0.116 GLD 45.7 -0.0144 -0.0283
6 2005-11-02 15.0 SPY 122. 0.0105 0.0199 0.0044 -0.0159 0.0589 0.349 -0.109 GLD 46.1 0.0087 -0.017
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
